japari/quantlib — pull request #3 by pcaspers (2014-01-09 10:31:07+00:00)
Title: First version of ISDA engine finished

Hi Pepe,

I finished the very first version of the ISDA engine. I did not a single test yet, but the code compiles at least. Maybe you want to have a look anyway already. There are some points to discuss left as written yesterday in my email (the point concerning the sign of the default accruals is clarified however). Furthermore,

- an particularly ugly thing is that we need the step dates of the curves in the engine (we could do a daily scan, of course, but this would be very inefficient, breaking the whole idea of the ISDA assumptions of flat forwards), and I do not see a generic way to get them (if started with dynamic casts, pure hell!). Therefore I had to add them as paramters to the first constructor (the second constructor of course can generate them easily).

- I think we need to adapt the conventional spread method in creditdefaultswap.cpp later on replacing the mid point engine by the isda engine. I added a reminder in the warnings section. We can do this once the engine itself works.

-- Peter